Modeling and Generating Dependent Risk Processes for IRM and DFA

DOI10.2143/AST.34.2.505147zbMATH Open1159.91410OpenAlexW4253439419MaRDI QIDQ5490569FDOQ5490569

Authors: Dietmar Pfeifer, Johanna Nešlehová 

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.34.2.505147

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Mathematics Subject Classification ID

Cites Work

• Properties and applications of the sarmanov family of bivariate distributions
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• Inequalities for E k(X, Y) when the marginals are fixed
• Risk management: Value at risk and beyond
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• On a bivariate poisson distribution
• ASPECTS OF CORRELATION IN BIVARIATE POISSON DISTRIBUTIONS AND PROCESSES
• Discrete bivariate distributions with given marginals and correlation
• The Poisson Correlation Function
• BAYESIAN ANALYSIS FOR THE SUPERPOSITION OF TWO DEPENDENT NONHOMOGENEOUS POISSON PROCESSES

Cited In (17)

• Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
• Fisher dispersion index for multivariate count distributions: a review and a new proposal
• Dependence properties of bivariate copula families
• Analysis of an aggregate loss model in a Markov renewal regime
• A new bivariate Poisson common shock model covering all possible degrees of dependence
• On a multivariate Pareto distribution
• A form of multivariate Pareto distribution with applications to financial risk measurement
• Multivariate insurance models: an overview
• An invitation to coupling and copulas: with applications to multisensory modeling
• Multivariate risk processes with interacting intensities
• A bivariate geometric distribution via conditional specification: properties and applications
• Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• A multivariate Poisson model based on comonotonic shocks
• Modeling, simulation and inference for multivariate time series of counts using trawl processes
• Finite normal mixture copulas for multivariate discrete data modeling
• Copula modeling for discrete random vectors

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